Flash menu's require you to flash the menu on the phone, it's very simple.
Use XS++, and since the W660i is 176x220, you will need 176x220 flash themes. The SWF need to be flashed onto the phone in
;Flash Menus -> 'TPA/PRESET/SYSTEM/DESKTOP/FLASH'.
And the THM simply needs to be put onto the memory stick or phones theme folder.
XS++ 3.1 Guide-Flashing,Customizing,Recovering - Top Sony Forums